I too am really feeling the pain of this shortcoming. I also have a handful of external synths and have them setup as external instruments in Cubase and through the inspector, I very quickly and easily browse and load presets through this manner, by program change messages. I can set tracks to the preset of choice and it will automatically be sent to the synths, upon loading the project, meaning everything is setup and ready to go, once I hit play. This works perfectly with my previous Novation controllers, as well as just about any other controller I've owned, over the years. With the Keystep Pro however, the program change messages change the pattern number on the KSP itself and never make it past this point and onto the synths. I have to screw around manually assigning the patches in my synths, which is not a very quick and fun thing to do.
While I really like the ability to be able to change the patterns of the KSP, we really need to be able to control our synths as well. I have been in contact last week with support on this matter and they agreed it is a neglect from the controller itself and nothing to do with us, or our setups. I am really begging for this to be implemented in a future firmware update, but so far, nothing has been concrete.
What really gets me, is how it isn't just program change messages, that don't make it through. Have you tried to send any modulation data through to your synths? They too aren't sent. Pitchbend data, modulation wheel data, aftertouch and midi CC, are also not sent. This controller basically nerfs controlling external synths and its absurd.